Jerome Teiletche

Unigestion

Head of Cross Asset Solutions

8c, avenue de Champel CP 387

CP 387

Genève 12, CH 1211

Switzerland

SCHOLARLY PAPERS

16

DOWNLOADS
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SSRN RANKINGS

Top 5,577

in Total Papers Downloads

7,502

CITATIONS
Rank 9,453

SSRN RANKINGS

Top 9,453

in Total Papers Citations

58

Scholarly Papers (16)

1.

Generalized Risk-Based Investing

Number of pages: 43 Posted: 24 Jan 2013 Last Revised: 20 Apr 2013
Emmanuel Jurczenko, Thierry Michel and Jerome Teiletche
Glion Institute of Higher Education, Lombard Odier & Cie and Unigestion
Downloads 2,657 (4,388)
Citation 11

Abstract:

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Risk-Based Investing, Minimum Variance, Risk Parity, Maximum Diversification, Equal-Weight, Low-Vol Anomaly

2.

An Alternative Approach to Alternative Beta

Number of pages: 17 Posted: 30 Nov 2007
Thierry Roncalli and Jerome Teiletche
Amundi Asset Management and Unigestion
Downloads 1,720 (9,156)
Citation 22

Abstract:

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Hedge funds, factor models, beta, alpha, replication, Kalman filter

3.

Factor Timing Revisited: Alternative Risk Premia Allocation Based on Nowcasting and Valuation Signals

Number of pages: 27 Posted: 28 Sep 2018 Last Revised: 16 Nov 2018
Olivier Blin, Florian Ielpo, Joan Lee and Jerome Teiletche
Unigestion SA, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Unigestion and Unigestion
Downloads 561 (47,280)
Citation 2

Abstract:

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Alternative Risk Premia, Carry, Trend-Following, Momentum, Equity Factors, Risk-Based Investing, Macro Regimes, Asset Allocation

4.

Revisiting the Dependence between Financial Markets with Copulas

Number of pages: 45 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
Arnaud Costinot, Thierry Roncalli and Jerome Teiletche
University of California, San Diego (UCSD) - Department of Economics, Amundi Asset Management and Unigestion
Downloads 494 (55,490)
Citation 17

Abstract:

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Linear correlation, extreme value theory, quantile regression, concordance order, Deheuvels copula, contagion, Asian crisis

5.

An Empirical Investigation of the VaR of Hedge Funds

Number of pages: 22 Posted: 25 Mar 2008
Jerome Teiletche and Florent Pochon
Unigestion and Olympia Capital Management
Downloads 394 (73,105)
Citation 1

Abstract:

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Value at Risk, Hedge Funds, GARCH, Backtesting

6.

The Euro-Dollar Exchange Rate: A Long Term Perspective

Number of pages: 29 Posted: 25 Mar 2008
Jerome Teiletche
Unigestion
Downloads 350 (83,901)

Abstract:

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real exchange rate, fundamentals, cointegration, forecasting, bootstrap

7.

A Conditional Approach to Hedge Fund Risk

Number of pages: 28 Posted: 25 Mar 2008
Jerome Teiletche and Florent Pochon
Unigestion and Olympia Capital Management
Downloads 279 (107,615)
Citation 1

Abstract:

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hedge funds, risk, mixture models, stress tests

8.

The Ultra-High Frequency Dynamics of European Bond Yields

Number of pages: 35 Posted: 25 Mar 2008
Jerome Teiletche and Charlotte Lespagnol
Unigestion and affiliation not provided to SSRN
Downloads 266 (113,166)

Abstract:

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C14, C22, G14

9.

Reconsidering Asset Allocation Involving Illiquid Assets

Number of pages: 22 Posted: 25 Mar 2008
Dan Cao and Jerome Teiletche
Georgetown University - Department of Economics and Unigestion
Downloads 265 (113,644)
Citation 5

Abstract:

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illiquidity, smoothing, alternative assets

10.

Performances of Hedge Funds and Standard Assets: A Systematic Investigation

Number of pages: 50 Posted: 25 Mar 2008
Jerome Teiletche and Yann Tampereau
Unigestion and affiliation not provided to SSRN
Downloads 169 (174,602)

Abstract:

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Hedge funds, asset allocation, extreme risk, factor models

11.

Emerging Sovereign Bond Markets: A View from the Extremes

Regional Currency Areas in Globalization, Patrick Artus, André Cartapanis et Florence Legros, Edward Elgar Publishers, 2005
Number of pages: 42 Posted: 26 Nov 2007
Pierre Laurent and Jerome Teiletche
affiliation not provided to SSRN and Unigestion
Downloads 97 (267,181)

Abstract:

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12.

Macro Factor Mimicking Portfolios

Number of pages: 34 Posted: 02 May 2019
Emmanuel Jurczenko and Jerome Teiletche
Glion Institute of Higher Education and Unigestion
Downloads 90 (280,281)

Abstract:

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factor investing, mimicking portfolios, portfolio optimization, macro risk management, machine learning

13.

Foreign-Exchange Intervention Strategies and Market Expectations: Insights from Japan

Number of pages: 36 Posted: 04 Jul 2008
Jean-Yves Gnabo and Jerome Teiletche
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Unigestion
Downloads 89 (282,287)
Citation 5

Abstract:

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Central Bank Interventions, Event Studies, Communication Policy, Risk Neutral Density

14.

Do Interventions in Foreign Exchange Markets Modify Investors' Expectations? The Experience of Japan between 1992 and 2003

CEREG - Cahier de recherche No. 2005-04
Number of pages: 38 Posted: 25 Mar 2008
Jerome Teiletche and Christophe Morel
Unigestion and Université Paris Dauphine - DRM-CEREG
Downloads 71 (322,720)
Citation 4

Abstract:

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FX interventions, risk-neutral density, event study, bootstrap, Bank of Japan

15.

Active Risk-Based Investing

Posted: 22 May 2019
Emmanuel Jurczenko and Jerome Teiletche
Glion Institute of Higher Education and Unigestion

Abstract:

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Risk-based investing, risk parity, Black-Litterman, risk budgeting, tactical asset allocation

16.

On the Properties of Equally-Weighted Risk Contributions Portfolios

Posted: 21 May 2019
Sébastien Maillard, Thierry Roncalli and Jerome Teiletche
Lyxor Asset Management, Amundi Asset Management and Unigestion

Abstract:

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Asset allocation, risk contributions, minimum-variance, portfolio construction, risk budgeting, portfolio diversification